Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models

About the Authors

Damiano Brigo is Managing Director and Global Head of the Quantitative team at Fitch Solutions, and Visiting Professor at the Dept. of Mathematics at Imperial College, London. Damiano has published more than 50 works in top journals for Mathematical Finance, Systems Theory, Probability and Statistics, and a book for Springer Verlag that has become a field reference in stochastic interest rate modelling. He is Managing Editor of the International Journal of Theoretical and Applied Finance, he is a member of the Fitch Academic Advisory Board and is part of scientific committees for academic conferences occurring at MIT and other academic and industry institutions. Damiano’s interests include pricing, risk measurement, credit and default modelling, counterparty risk and stochastic dynamical models for commodities and inflation. Damiano obtained a PhD in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam.

 

Andrea Pallavicini is Head of Financial Engineering at Banca Leonardo in Milan. Previously, he worked as Head of Equity and Hybrid Models in Banca IMI, working also on dynamical loss models, interest-rate derivatives, smile modelling and counterparty risk. Over the years he published several academic and practitioner-oriented articles in financial modelling, theoretical physics and astrophysics. He has taught Master courses in finance at the Universities of Pavia and Milan. He obtained a Degree in astrophysics, and a PhD ...